(Springer Science and Business Media LLC, 2020) Vlasenko, L. A.; Rutkas, A. G.; Semenets, V. V.; Chikrii, A. A.; Семенець, В. В.
We study the optimal control problem for a descriptor system whose evolution is
described by Ito’s differential-algebraic equation. The quadratic cost functional is considered. The
main constraint is that the characteristic matrix pencil corresponding to the equation is regular.
We establish the conditions for the existence and uniqueness of the optimal control and the
corresponding optimal state. The results are illustrated on an example of a descriptor system that
describes transient states in a radio engineering filter with random perturbations in the form
of white noise.